Yes, if you want to use Alfresco you will need to download Alfresco. That link is for the binary installer for 4.2.c. Note that we recently released a new version, 4.2.d.
An alternative to downloading and installing is to use Alfresco in the cloud. You can get an API key at http://www.alfresco.com/develop.
Regardless of which way you choose, please read the <a href="http://docs.alfresco.com">docs</a> and the <a href="http://wiki.alfresco.com">wiki</a> and attempt to build your system, then come back here to ask specific questions with the problems you are facing.
